摘要
将多种Copula函数和SV模型多种扩展形式相结合,对我国股票市场实际的组合投资问题进行了实证风险分析,结果表明边缘分布和相关关系的选择共同影响联合分布,并且Gumbel-copula-SV-GED模型在计算风险VaR值方面效果较好。
The expansion of the form of a variety of SV models with a variety of Copula functions are combined to analyze the portfolio risk of actual stock of China.The experiential result indicates that the choice of marginal distributions and correlation of variables effect the joint distribution,and Gumbel-copula-SV-GED risk in the calculation of VaR has certain advantages.
出处
《科学技术与工程》
2010年第14期3554-3558,共5页
Science Technology and Engineering
